2 What is the effect of using the 99th percentile (1 per cent worst case) rather than...
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2 What is the effect of using the 99th percentile (1 per cent worst case) rather than the 95th percentile (5 per cent worst case) on the measured size of an FI’s market risk exposures?
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Financial Institutions Management A Risk Management
ISBN: 9781743073551
4th Edition
Authors: Helen Lange, Anthony Saunders, Marcia Millon Cornett
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